Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0271 |
| Annualized Std Dev | 0.2464 |
| Annualized Sharpe (Rf=0%) | -0.1100 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4399.0000 |
| NAs | 1.0000 |
| Minimum | -0.1908 |
| Quartile 1 | -0.0055 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0062 |
| Maximum | 0.1993 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0155 |
| Skewness | -1.1602 |
| Kurtosis | 29.1070 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0110 |
| Loss Deviation | 0.0142 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0117 |
| Downside Deviation (0%) | 0.0117 |
| Maximum Drawdown | 0.7889 |
| Historical VaR (95%) | -0.0211 |
| Historical ES (95%) | -0.0387 |
| Modified VaR (95%) | -0.0211 |
| Modified ES (95%) | -0.0211 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-01-03 | 2009-03-09 | NA | -0.7889 | 3579 | 549 | NA |
| 2004-03-11 | 2004-05-10 | 2005-08-02 | -0.2097 | 352 | 42 | 310 |
| 2005-09-13 | 2005-10-20 | 2006-01-03 | -0.1019 | 78 | 28 | 50 |
| 2006-05-12 | 2006-06-22 | 2006-07-07 | -0.0574 | 39 | 29 | 10 |
| 2006-07-10 | 2006-07-14 | 2006-08-14 | -0.0569 | 26 | 5 | 21 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0 | 0.2 | 1.3 | 1.5 |
| 2004 | 0 | 0 | 0.3 | 0 | 2.4 | 0.5 | 0.3 | 0.5 | 0.7 | -0.2 | 0.5 | 0.5 | 5.6 |
| 2005 | -0.1 | 1.2 | 0.5 | 1.2 | 0.6 | 0.3 | 0.3 | 1.6 | -0.8 | -1.1 | -0.1 | 0.7 | 4.3 |
| 2006 | 1.1 | -0.3 | -0.1 | 0.8 | 0.8 | 1.7 | 0.2 | 1.4 | -0.5 | -0.5 | -2.3 | 0.3 | 2.7 |
| 2007 | 0.7 | 0.8 | -0.4 | -0.1 | 1 | -1 | -0.4 | 1.6 | 2.4 | -1.3 | 1.1 | -0.3 | 4.1 |
| 2008 | 2.8 | -1.3 | 3.5 | 1.6 | 0.4 | -0.1 | -0.1 | 0.6 | 2.5 | 2.5 | -9.9 | 4.5 | 6.2 |
| 2009 | -2.5 | -1.1 | 0.4 | 0.6 | 1.8 | 1.7 | 0.4 | -2 | -2 | -2.4 | 1 | -0.1 | -4.4 |
| 2010 | 2 | -0.5 | 0.3 | -2.1 | -0.7 | -0.1 | 0.8 | 2.1 | 0.7 | 1.2 | 0.2 | -0.5 | 3.3 |
| 2011 | 0.3 | -1.5 | 0.7 | -0.1 | -1.6 | 1.5 | 0 | -0.8 | -0.2 | -3.1 | -0.6 | -2.6 | -7.8 |
| 2012 | 0.4 | 0.3 | 0.4 | 1.1 | -2.1 | 1.9 | 0.2 | 0.4 | 0.6 | 1.9 | -0.2 | 0.5 | 5.5 |
| 2013 | 0.5 | 0.4 | -0.2 | 0.1 | -2 | 1.3 | -0.6 | 0 | 0.8 | -1.1 | 0.5 | 0.1 | -0.1 |
| 2014 | -0.3 | 0.7 | 0.5 | 0 | -0.2 | 0.4 | -1.4 | 0.6 | -0.6 | 0.5 | 0.1 | -1.1 | -0.9 |
| 2015 | -1.6 | 0.3 | -0.6 | 0.6 | -0.3 | 0.6 | -0.1 | -1.8 | -0.2 | 0.4 | 0.5 | 0.3 | -2 |
| 2016 | 0.3 | 1.8 | -0.1 | 0.1 | 0.6 | 0.4 | -0.6 | -0.3 | 0.5 | -1.6 | -0.3 | -0.4 | 0.5 |
| 2017 | -0.5 | 0.4 | 0.4 | -0.2 | 0.2 | 1.2 | 0.3 | 0.2 | 0.7 | 0.4 | 0 | 0 | 3.2 |
| 2018 | -0.2 | -0.6 | 1.7 | 0.7 | 0 | 0.3 | -0.1 | -0.1 | 0.7 | 0.6 | 0.2 | 2.4 | 5.8 |
| 2019 | -0.3 | -1 | 0.7 | 1 | -0.7 | 0.4 | 2.3 | 0.1 | -1.3 | -0.1 | 0.1 | 0.6 | 1.7 |
| 2020 | -1.2 | -3.6 | -7.8 | -1.7 | 0.3 | 1.7 | -1 | 0.4 | 1.3 | -1.6 | -0.1 | 0.8 | -12.3 |
| 2021 | 1 | 1.1 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
